Finance

HE Move Probability $8.73 -0.10 (-1.1%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

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Touch Probability (First Passage)
48.8%
Stock touched +5.0% ($9.17) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
21.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.25x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.3%
$8.01 — $9.45

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-17.9% to -15.2%: 4 occurrences (0.8%) -16.5% -15.2% to -12.5%: 20 occurrences (3.9%) -12.5% to -9.8%: 33 occurrences (6.5%) -9.8% to -7.1%: 46 occurrences (9.1%) -8.4% -7.1% to -4.4%: 42 occurrences (8.3%) -4.4% to -1.7%: 59 occurrences (11.6%) -1.7% to +1.0%: 82 occurrences (16.1%) -0.3% +1.0% to +3.7%: 82 occurrences (16.1%) +3.7% to +6.4%: 60 occurrences (11.8%) +6.4% to +9.1%: 27 occurrences (5.3%) 7.8% +9.1% to +11.8%: 9 occurrences (1.8%) +11.8% to +14.5%: 16 occurrences (3.1%) +14.5% to +17.2%: 8 occurrences (1.6%) 15.9% +17.2% to +19.9%: 15 occurrences (3.0%) +19.9% to +22.6%: 3 occurrences (0.6%) +22.6% to +25.3%: 2 occurrences (0.4%) 24.0%
Historical returns Target move zone (+5.0%+) Target threshold bin

Probability Breakdown: Empirical vs. Theoretical Models

Comparing actual market back-data against Black-Scholes and Fat-Tail adjustments.

Model / Methodology Touch Probability Expiration Close Probability What It Tells You
Empirical Back-Data (Actual History) 48.8% 21.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.6% Adjusts normal bell curve for real-world skewness (0.08) and kurtosis (2.39).
Standard Normal (Black-Scholes / GBM) 55.5% 27.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 37.5% 14.6% Filters for historical windows that started with volatility similar to current 20-day HV (301 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 35.1%
  • Recent 20-Day HV: 25.3%
  • Parkinson Intraday Volatility: 31.9%
  • Vol Trend: Compressed (-28% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +10.2%
  • Bottom 10% Move (10th percentile): -10.1%
  • Max Historical Gain (14d): +25.3%
  • Max Historical Loss (14d): -17.9%